Can implied volatility predict returns on the currency carry trade?

Research output: Contribution to journal › Article › Academic › peer-review

20 Citations (Scopus)

Original language	English
Pages (from-to)	14-26
Number of pages	13
Journal	Journal of Banking and Finance
Volume	59
DOIs	https://doi.org/10.1016/j.jbankfin.2015.04.026
Publication status	Published - 2015

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@article{cfaaee4e096443fabfcc7aeb3a068d4c,

title = "Can implied volatility predict returns on the currency carry trade?",

author = "T Egbers and Laurens Swinkels",

year = "2015",

doi = "10.1016/j.jbankfin.2015.04.026",

language = "English",

volume = "59",

pages = "14--26",

journal = "Journal of Banking and Finance",

issn = "0378-4266",

publisher = "Elsevier",

}